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Discussion on "size-biased risk measures of compound sums," by Michel Denuit, January 2020
Furman, Edward; Kye, Yisub; Su, Jianxi - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 631-636
Persistent link: https://www.econbiz.de/10013167030
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A reconciliation of the top-down and bottom-up approaches to risk capital allocations : proportional allocations revisited
Furman, Edward; Kye, Yisub; Su, Jianxi - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 3, pp. 395-416
Persistent link: https://www.econbiz.de/10012623437
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Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward; Kye, Yisub; Su, Jianxi - In: Insurance / Mathematics & economics 96 (2021), pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
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Computing the Gini index : a note
Furman, Edward; Kye, Yisub; Su, Jianxi - In: Economics letters 185 (2019), pp. 1-4
Persistent link: https://www.econbiz.de/10012304961
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Paths and indices of maximal tail dependence
Furman, Edward; Su, Jianxi; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 661-678
Persistent link: https://www.econbiz.de/10011397592
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Tail dependence of the Gaussian copula revisited
Furman, Edward; Kuznetsov, Alexey; Su, Jianxi; Zitikis, … - In: Insurance / Mathematics & economics 69 (2016), pp. 97-103
Persistent link: https://www.econbiz.de/10011530927
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Can a regulatory risk measure induce profit-maximizing risk capital allocations? : the case of conditional tail expectation
Mohammed, Nawaf; Furman, Edward; Su, Jianxi - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 425-436
Persistent link: https://www.econbiz.de/10012793935
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A form of multivariate pareto distribution with applications to financial risk measurement
Su, Jianxi; Furman, Edward - In: Astin bulletin : the journal of the International … 47 (2017) 1, pp. 331-357
Persistent link: https://www.econbiz.de/10011671067
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On a multiplicative multivariate gamma distribution with applications in insurance
Semenikhine, Vadim; Furman, Edward; Su, Jianxi - In: Risks : open access journal 6 (2018) 3, pp. 1-20
One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...
Persistent link: https://www.econbiz.de/10011890776
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Multiple risk factor dependence structures : distributional properties
Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68
Persistent link: https://www.econbiz.de/10011774770